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Quadratic Forms and Objective functions with two or more variables

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1 Quadratic Forms and Objective functions with two or more variables

2 Two Choice Variables Quadratic Forms Definiteness
Let 𝑒=𝑑π‘₯, 𝑣=𝑑𝑦, π‘Ž= 𝑓 π‘₯π‘₯ , 𝑏= 𝑓 𝑦𝑦 , β„Ž= 𝑓 π‘₯𝑦 = 𝑓 𝑦π‘₯ Then 𝑑 2 𝑍= 𝑓 π‘₯π‘₯ 𝑑 π‘₯ 2 +2 𝑓 π‘₯𝑦 𝑑𝑦𝑑π‘₯+ 𝑓 𝑦𝑦 𝑑 𝑦 (π‘’π‘žπ‘› 1) can be written as 𝐝 𝟐 𝐙=𝒒=𝒂 𝒖 𝟐 +πŸπ’‰π’–π’—+𝒃 𝒗 𝟐 (π‘’π‘žπ‘› 2)Β  Definiteness Positive definite if q is invariably positive (q > 0) Positive semidefinite if q is invariably nonnegative (π‘žβ‰₯0 ) Negative definite if q is invariably negative (q < 0) Negative semidefinite if q is invariably non positive (π‘žβ‰€0 )

3 Rewriting the quadratic form using completing square
𝒂 𝒖+ 𝒉 𝒂 𝒗 𝟐 +π’‚π’ƒβˆ’ 𝒉 𝟐 𝒂 𝒗 𝟐 π‘ž 𝑖𝑠 π‘π‘œπ‘ π‘–π‘‘π‘–π‘£π‘’ 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 𝑖𝑓𝑓 π‘Ž>0 π‘Žπ‘›π‘‘ π‘Žπ‘βˆ’ β„Ž 2 >0 π‘ž 𝑖𝑠 π‘›π‘’π‘”π‘Žπ‘‘π‘–π‘£π‘’ 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 𝑖𝑓 π‘Ž<0 π‘Žπ‘›π‘‘ π‘Žπ‘βˆ’ β„Ž 2 >0 Writing in Matrix Form We have 𝑒 𝑣 π‘Ž β„Ž β„Ž 𝑏 𝑒 𝑣 The determinant of the coefficient matrix π‘Ž β„Ž β„Ž 𝑏 is important in determining the sign of π‘ž π‘ž 𝑖𝑠 π’‘π’π’”π’Šπ’•π’Šπ’—π’† π’…π’†π’‡π’Šπ’π’Šπ’•π’† 𝑖𝑓𝑓 βˆ£π‘Žβˆ£>0 π‘Žπ‘›π‘‘ π‘Ž β„Ž β„Ž 𝑏 >0 π‘ž 𝑖𝑠 π’π’†π’ˆπ’‚π’•π’Šπ’—π’† π’…π’†π’‡π’Šπ’π’Šπ’•π’† 𝑖𝑓𝑓 βˆ£π‘Žβˆ£<0 π‘Žπ‘›π‘‘ π‘Ž β„Ž β„Ž 𝑏 >0

4 Writing equation (2) in terms of equation (1) gives further insights
Since π‘Ž= 𝑓 π‘₯π‘₯ π‘Žπ‘›π‘‘ π‘Žπ‘βˆ’ β„Ž 2 𝑖𝑠 𝑓 π‘₯π‘₯ 𝑓 𝑦𝑦 βˆ’ 𝑓 π‘₯𝑦 . 𝑓 𝑦π‘₯ 𝑓 π‘₯π‘₯ 𝑓 𝑦𝑦 βˆ’ 𝑓 π‘₯𝑦 . 𝑓 𝑦π‘₯ π‘œπ‘Ÿ ( 𝑓 π‘₯π‘₯ 𝑓 𝑦𝑦 βˆ’ 𝑓 π‘₯𝑦 2 ) Conditions for 𝑑 2 𝑍 π‘“π‘œπ‘Ÿ π‘π‘œπ‘ π‘–π‘‘π‘–π‘£π‘’ 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 𝑖𝑠 𝑓 π‘₯π‘₯ > 0 π‘Žπ‘›π‘‘ 𝑓 π‘₯π‘₯ 𝑓 π‘₯𝑦 𝑓 π‘₯𝑦 𝑓 𝑦𝑦 >0 𝑑 2 𝑍 π‘“π‘œπ‘Ÿ 𝑛𝑒𝑔𝑖𝑑𝑖𝑣𝑒 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 𝑖𝑠 𝑓 π‘₯π‘₯ <0 π‘Žπ‘›π‘‘ 𝑓 π‘₯π‘₯ 𝑓 π‘₯𝑦 𝑓 π‘₯𝑦 𝑓 𝑦𝑦 >0

5 Discriminant of a Quadratic form
In general the discriminant of a quadratic form π‘ž=π‘Ž 𝑒 2 +2β„Žπ‘’π‘£+𝑏 𝑣 2 Is the symmetric determinant π‘Ž β„Ž β„Ž 𝑏 In the particular case of quadratic form 𝑑 2 𝑍= 𝑓 π‘₯π‘₯ 𝑑 π‘₯ 2 +2 𝑓 π‘₯𝑦 𝑑𝑦𝑑π‘₯+ 𝑓 𝑦𝑦 𝑑 𝑦 2 The discriminant is the determinant with second order partial derivatives as its elements.

6 Hessian Determinant ∣𝐻∣= 𝒇 𝒙𝒙 𝒇 π’™π’š 𝒇 π’šπ’™ 𝒇 π’šπ’š Determinant with all the second order partial derivatives is called Hessian Matrix.

7 Extremum Conditions for two choice variable
𝑖𝑓 𝑑 2 𝑍 𝑖𝑠 π‘π‘œπ‘ π‘–π‘‘π‘–π‘£π‘’ 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 𝑖𝑑 𝑖𝑠 π‘šπ‘–π‘›π‘–π‘šπ‘’π‘š 𝑖𝑓 𝑑 2 𝑍 𝑖𝑠 π‘›π‘’π‘”π‘Žπ‘‘π‘–π‘£π‘’ 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 π‘‘β„Žπ‘’π‘› π‘šπ‘Žπ‘₯π‘–π‘šπ‘’π‘š So, 𝑑 2 𝑍 π‘“π‘œπ‘Ÿ π‘π‘œπ‘ π‘–π‘‘π‘–π‘£π‘’ 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒(π‘šπ‘–π‘›π‘–π‘šπ‘’π‘š) 𝑖𝑓 𝑓 π‘₯π‘₯ > 0 π‘Žπ‘›π‘‘ 𝑓 π‘₯π‘₯ 𝑓 π‘₯𝑦 𝑓 π‘₯𝑦 𝑓 𝑦𝑦 >0 𝑑 2 𝑍 π‘“π‘œπ‘Ÿ 𝑛𝑒𝑔𝑖𝑑𝑖𝑣𝑒 𝑑𝑒𝑓𝑖𝑛𝑖𝑑𝑒 π‘šπ‘Žπ‘₯π‘–π‘šπ‘’π‘š 𝑖𝑓 𝑓 π‘₯π‘₯ < 0 π‘Žπ‘›π‘‘ 𝑓 π‘₯π‘₯ 𝑓 π‘₯𝑦 𝑓 π‘₯𝑦 𝑓 𝑦𝑦 >0

8 Objective Functions with 3 choice Variables
𝑧=𝑓 π‘₯ 1 , π‘₯ 2 , π‘₯ 3 𝑑𝑧= 𝑓 1 𝑑 π‘₯ 1 + 𝑓 2 𝑑 π‘₯ 2 + 𝑓 3 𝑑 π‘₯ 3 First order condition: 𝑑𝑧=0, 𝑖.𝑒. 𝑓 1 = 𝑓 2 = 𝑓 3 =0 Second order condition : 𝑑 2 𝑍 𝑑 2 𝑍= πœ• πœ• π‘₯ 1 𝑓 1 𝑑 π‘₯ 1 + 𝑓 2 𝑑 π‘₯ 2 + 𝑓 3 𝑑 π‘₯ 3 𝑑 π‘₯ 1 + πœ• πœ• π‘₯ 2 𝑓 1 𝑑 π‘₯ 1 + 𝑓 2 𝑑 π‘₯ 2 + 𝑓 3 𝑑 π‘₯ 𝑓 1 𝑑 π‘₯ 1 + 𝑓 2 𝑑 π‘₯ 2 + 𝑓 3 𝑑 π‘₯ 3 𝑑 π‘₯ 2 + πœ• πœ• π‘₯ 3 𝑓 1 𝑑 π‘₯ 1 + 𝑓 2 𝑑 π‘₯ 2 + 𝑓 3 𝑑 π‘₯ 3 𝑑 π‘₯ 3 = 𝑓 11 𝑑 π‘₯ 𝑓 12 𝑑 π‘₯ 1 𝑑 π‘₯ 2 + 𝑓 13 𝑑 π‘₯ 1 𝑑 π‘₯ 3 + 𝑓 21 𝑑 π‘₯ 2 𝑑 π‘₯ 1 + 𝑓 22 𝑑 π‘₯ 𝑓 23 𝑑 π‘₯ 2 π‘₯ 3 + 𝑓 31 𝑑 π‘₯ 3 𝑑 π‘₯ 1 + 𝑓 32 𝑑 π‘₯ 3 𝑑 π‘₯ 2 + 𝑓 33 𝑑 π‘₯ 3 2

9 Hessian Matrix for 3 choice Variables
𝐻= 𝑓 11 𝑓 12 𝑓 13 𝑓 21 𝑓 22 𝑓 23 𝑓 31 𝑓 32 𝑓 33 π‘€β„Žπ‘’π‘Ÿπ‘’ ∣ 𝐻 1 ∣= 𝑓 11 , ∣ 𝐻 2 ∣= 𝑓 11 𝑓 12 𝑓 21 𝑓 π‘Žπ‘›π‘‘ ∣ 𝐻 3 ∣= 𝑓 11 𝑓 12 𝑓 13 𝑓 21 𝑓 22 𝑓 23 𝑓 31 𝑓 32 𝑓 33 Optimization Conditions First Order Necessary condition: 𝒇 𝟏 = 𝒇 𝟐 = 𝒇 πŸ‘ =𝟎 Second order Conditions π‘“π‘œπ‘Ÿ 𝑍 βˆ— π‘‘π‘œ 𝑏𝑒 π‘šπ‘Žπ‘₯π‘–π‘šπ‘’π‘š ∣ 𝐻 1 ∣<0, ∣ 𝐻 2 ∣>0, ∣ 𝐻 3 ∣<0 ; 𝑑 2 𝑍(𝑁𝐷) π‘“π‘œπ‘Ÿ 𝑍 βˆ— π‘‘π‘œ 𝑏𝑒 π‘šπ‘–π‘›π‘–π‘šπ‘’π‘š ∣ 𝐻 1 ∣>0, ∣ 𝐻 2 ∣>0, ∣ 𝐻 3 ∣>0 ; 𝑑 2 𝑍(𝑃𝐷)

10 𝑡 Variable Case First order Necessary conditions
Optimization Conditions First order Necessary conditions 𝑓 1 = 𝑓 2 = 𝑓 3 = 𝑓 4 =…………… 𝑓 𝑛 =0 Second order Conditions π‘“π‘œπ‘Ÿ 𝑍 βˆ— π‘‘π‘œ 𝑏𝑒 π‘šπ‘Žπ‘₯π‘–π‘šπ‘’π‘š ∣ 𝐻 1 ∣<0, ∣ 𝐻 2 ∣>0, ∣ 𝐻 3 ∣< 0,∣ 𝐻 4 ∣>0… βˆ’1 𝑛 ∣ 𝐻 𝑛 ∣> ; 𝑑 2 𝑍(𝑁𝐷) π‘“π‘œπ‘Ÿ 𝑍 βˆ— π‘‘π‘œ 𝑏𝑒 π‘šπ‘–π‘›π‘–π‘šπ‘’π‘š ∣ 𝐻 1 ∣>0, ∣ 𝐻 2 ∣>0, ∣ 𝐻 3 ∣> 0 ….∣ 𝐻 𝑛 ∣>0; 𝑑 2 𝑍(𝑃𝐷)


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